15 citations · 66 across the 31 of their papers we have counts for
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q-fin.PR2021★ 5 cited
Multilayer heat equations and their solutions via oscillating integral transforms
Andrey Itkin, Alexander Lipton, Dmitry Muravey
By expanding the Dirac delta function in terms of the eigenfunctions of the corresponding Sturm-Liouville problem, we construct some new (oscillating) integral transforms. These tr…
q-fin.PR2021★ 1 cited
Semi-analytical pricing of barrier options in the time-dependent -SABR model
Andrey Itkin, Dmitry Muravey
We extend the approach of Carr, Itkin and Muravey, 2021 for getting semi-analytical prices of barrier options for the time-dependent Heston model with time-dependent barriers by ap…